I think the 'exercise slows weight loss down' is a bit of a half-truth. If you exercise, particularly if you're heavy to start with and do weight bearing exercise, you will start to build up muscles. Since muscle is denser than fat, 1lb of muscle is much smaller than 1lb of fat. So, if you start to build up muscle, you'll be smaller and toned, but not as light as if you didn't build up your muscle. It's why all the England rugby team are classified as overweight and half as obese, if you go by standard BMI charts (though tell Johnny Wilkinson that and run away...very fast!)
If you build say 2lb of muscle in a week of exercise but lose 8lbs a week of fat, your net loss would be 6lbs, instead of 8lbs if you did no exercise. However, presumably we want to be fit and toned as well, right?